Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339)
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scientific article; zbMATH DE number 7546450
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| English | Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations |
scientific article; zbMATH DE number 7546450 |
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Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (English)
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22 June 2022
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conditionally heteroscedastic location-scale time series models
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ASTD
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AEPD
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VaR
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ES
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CAViaR
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0.8357847
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0.8348505
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0.8339256
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0.8318757
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0.83061016
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0.8299461
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0.8245781
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